Essays about: "Basel Accords"
Showing result 6 - 10 of 25 essays containing the words Basel Accords.
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6. Transition Matrices Conditional on Macroeconomic Cycles: A Portfolio Stress-Test Application
University essay from Göteborgs universitet/Graduate SchoolAbstract : Transition matrices show the probabilities of credit rating migrations for a pool of ratings within a particular industry, geographical area, time-horizon, etc. Regulation, in the form of Basel accords, has opted for standards in banking that among other techniques use transition matrices, and thus the probability of default, for internally-based risk-assessment, as well as incorporating the external credit rating in the capital requirement calculation. READ MORE
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7. Comparing methods for identifying G-SIBs in Europe
University essay from Göteborgs universitet/Graduate SchoolAbstract : The extra loss absorbency requirement for global systemically important banks (G-SIBs) is one of the macroprudential reforms in Basel III aimed at lowering the systemic risk in the financial system. Systemic risk is difficult to define and measure and academics have proposed alternative ways to measure banks' systemic importance. READ MORE
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8. Modelling Credit Risk: Estimation of Asset and Default Correlation for an SME Portfolio
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : When banks lend capital to counterparties they take on a risk, known as credit risk which traditionally has been the largest risk exposure for banks. To be protected against potential default losses when lending capital, banks must hold a regulatory capital that is based on a regulatory formula for calculating risk weighted assets (RWA). READ MORE
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9. Modeling credit risk for an SME loan portfolio: An Error Correction Model approach
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : Sedan den globala finanskrisen 2008 har flera stora regelverk införts för att säkerställa att banker hanterar risker på sunt sätt. Bland dessa regelverk är Basel II som infört kapitalkrav för kreditrisk som baseras på Sannolikhet för Fallissemang och Förlust Givet Fallissemang. READ MORE
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10. Higher capital requirements and banks’ cost of capital : An empirical study of the Swedish major banks
University essay from Umeå universitet/FöretagsekonomiAbstract : In the wake of the financial crisis the systemic importance of banks for the stability of the financial system became evident. Finansinspektionen classifies the banks Nordea, Skandinaviska Enskilda Banken, Svenska Handelsbanken and Swedbank as systemically important for the Swedish financial system. READ MORE